Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1979
Annualized Std Dev 0.2616
Annualized Sharpe (Rf=0%) 0.7565

Row

Daily Return Statistics

Close
Observations 3144.0000
NAs 1.0000
Minimum -0.1220
Quartile 1 -0.0067
Median 0.0017
Arithmetic Mean 0.0009
Geometric Mean 0.0007
Quartile 3 0.0095
Maximum 0.1498
SE Mean 0.0003
LCL Mean (0.95) 0.0003
UCL Mean (0.95) 0.0014
Variance 0.0003
Stdev 0.0165
Skewness -0.2292
Kurtosis 8.0749

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0110
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.5858
Historical VaR (95%) -0.0260
Historical ES (95%) -0.0394
Modified VaR (95%) -0.0246
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2008-06-18 2008-11-21 2009-11-16 -0.5858 289 79 210
2018-06-21 2018-12-24 2020-01-08 -0.2990 390 129 261
2020-02-20 2020-03-16 2020-05-18 -0.2886 62 18 44
2011-05-02 2011-10-03 2012-03-26 -0.2608 228 108 120
2015-12-07 2016-02-09 2016-08-09 -0.2418 170 44 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA -0.2 -0.5 0 -1.2 -9 -6 3.2 -13.5
2009 0.7 3.8 1.2 -0.1 2.3 0.8 -0.3 -0.6 -3 -2.7 2.3 -0.8 3.4
2010 0.7 2.6 -0.3 -2.5 -1.6 -0.2 0.3 3.7 -1 -1.6 1.4 -0.7 0.6
2011 2.4 -1.7 0.7 0.5 -1.5 1.9 -0.6 -1.4 -1.8 -3.1 1 -0.2 -3.8
2012 0.9 1.2 0 0.2 -3.1 3.5 -0.6 0.5 -0.5 1.6 -0.6 1.8 4.9
2013 1 0.5 -0.6 -0.6 -0.4 0.7 2.1 -1.5 2.1 0.5 0.7 1.4 6
2014 -0.8 -0.6 2.9 1.7 -1 1.8 -0.9 0.5 -2 2.6 -2.3 -0.7 1.2
2015 0.5 -0.7 -0.7 0.5 0.7 -0.2 0 -3.1 0.2 1.3 1.2 -0.9 -1.2
2016 0.6 2.3 0.5 1.5 -0.4 0.8 0.9 0.8 0.3 -1.2 -2.4 -1 2.5
2017 0.2 1 -0.2 1.5 1 0 -0.2 0.1 0.9 0.1 -0.7 -0.8 2.9
2018 0.2 -1.2 2.1 0.2 1.7 -0.1 -0.1 0 -0.6 2.6 0.8 0.3 6.1
2019 -0.3 0.5 1.6 -0.3 -1.4 1.5 -1.1 0 -0.6 -0.1 -0.5 0 -0.6
2020 -1.3 -0.4 -3.8 -3.2 1.3 2.5 1 3.9 2.1 -3.5 -0.4 -0.7 -2.8
2021 3.1 3 1.1 NA NA NA NA NA NA NA NA NA 7.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2008-06-13  24.5 SPY    136.  1.26e-2 -0.001    -0.0328   0.0505   -0.109   0.129     0.353 GLD    85.8 0.0027  -0.0363
2 2008-06-16  24.9 SPY    136.  6.00e-4 -0.00290  -0.0442   0.0618   -0.11    0.127     0.368 GLD    87.0 0.0137  -0.0111
3 2008-06-17  25.0 SPY    136. -4.80e-3 -0.0027   -0.0497   0.0145   -0.113   0.120     0.334 GLD    87.2 0.0028   0.0199
4 2008-06-18  24.7 SPY    134. -9.70e-3  0.0023   -0.0615   0.0302   -0.124   0.106     0.321 GLD    88.3 0.0118   0.0145
5 2008-06-19  25.0 SPY    134.  1.30e-3 -0.0002   -0.0526   0.0177   -0.111   0.108     0.323 GLD    88.4 0.0016   0.0329
6 2008-06-20  24.2 SPY    132. -1.61e-2 -0.0287   -0.0519  -0.0183   -0.130   0.0894    0.322 GLD    89.0 0.006    0.0364
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart